Order Book Queue Hawkes Markovian Modeling
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Publication:6200514
DOI10.1137/22m1470815arXiv2107.09629OpenAlexW3185585067MaRDI QIDQ6200514
Shihao Yang, Unnamed Author, Philip E. Protter
Publication date: 22 March 2024
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2107.09629
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Stationary stochastic processes (60G10) Discrete-time Markov processes on general state spaces (60J05)
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